Calculating Profits and Losses for Algorithmic Trading Strategies: A Short Guide

James Glattfelder and Thomas Houweling

Papers from arXiv.org

Abstract: We present a series of equations that track the total realized and unrealized profits and losses at any time, incorporating the spread. The resulting formalism is ideally suited to evaluate the performance of trading model algorithms.

Date: 2024-11
New Economics Papers: this item is included in nep-cmp
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